Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0039 |
| Annualized Std Dev | 0.2560 |
| Annualized Sharpe (Rf=0%) | -0.0153 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3458.0000 |
| NAs | 1.0000 |
| Minimum | -0.1153 |
| Quartile 1 | -0.0063 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1223 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0161 |
| Skewness | -0.3522 |
| Kurtosis | 9.6651 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0115 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0163 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.6571 |
| Historical VaR (95%) | -0.0239 |
| Historical ES (95%) | -0.0400 |
| Modified VaR (95%) | -0.0248 |
| Modified ES (95%) | -0.0454 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-20 | 2009-03-09 | NA | -0.6571 | 3335 | 305 | NA |
| 2007-07-16 | 2007-08-16 | 2007-10-11 | -0.1127 | 63 | 24 | 39 |
| 2007-11-01 | 2007-12-17 | 2007-12-19 | -0.0879 | 34 | 32 | 2 |
| 2007-10-15 | 2007-10-22 | 2007-10-26 | -0.0276 | 10 | 6 | 4 |
| 2007-07-05 | 2007-07-10 | 2007-07-12 | -0.0111 | 6 | 4 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | 0.4 | -1.2 | 2 | 1.3 | -2 | 2.2 | 0.1 | 2.7 |
| 2008 | 1.9 | -2.2 | 4.6 | 0.9 | 0.6 | -1.7 | -0.9 | -0.5 | -1.3 | 1.3 | -9.1 | 1.7 | -5.2 |
| 2009 | -1 | -1.2 | 4 | 0 | 4.3 | 2.3 | 0.9 | -3.1 | -2.2 | -4.1 | 4.1 | -0.4 | 3.2 |
| 2010 | 1.7 | 0.5 | 1.9 | -1.3 | -1.6 | 0.9 | 0.3 | 3.5 | 0.8 | -0.4 | 2.9 | 1.2 | 10.8 |
| 2011 | 2.2 | -1.5 | 1.3 | 0.5 | -2.4 | 0.7 | -1.1 | -0.7 | -3 | -4.1 | -1.4 | 0.5 | -8.9 |
| 2012 | 1.8 | 1.1 | 0.4 | 0.4 | -2.7 | 4 | -0.2 | 1 | 1 | 1 | 0 | 1.7 | 9.8 |
| 2013 | 0.6 | -0.3 | -0.9 | -0.8 | -2.3 | 1 | 1.2 | -1 | 0.6 | -0.7 | 0.3 | 0.6 | -1.6 |
| 2014 | -1.7 | 0.3 | 0.7 | 0 | 0.1 | 0.8 | -0.6 | -0.1 | -1.3 | 1.4 | 0 | -0.7 | -1.1 |
| 2015 | -1.4 | 0 | 0.6 | 0.5 | -0.3 | 0.8 | 0.5 | -3.1 | 0.3 | -0.1 | 1.2 | -1.2 | -2.2 |
| 2016 | -0.4 | 2.6 | -1.1 | -0.5 | -0.4 | 0.2 | -0.8 | 0.6 | 0.7 | -0.4 | 0.2 | 0.3 | 1.1 |
| 2017 | 0.2 | 1.3 | -0.1 | 0.6 | 0.7 | 0.1 | 0.7 | 0.1 | 0.7 | 0.4 | -0.2 | 0.1 | 4.8 |
| 2018 | 0.1 | -1.5 | 1.2 | -0.3 | 0.6 | 0.8 | -0.5 | -0.8 | 0.1 | 1 | -0.7 | 0.1 | 0.2 |
| 2019 | -0.2 | 0.4 | 1.6 | -0.9 | -0.8 | 0.4 | -0.7 | 0.4 | -0.8 | 1 | -0.6 | 0.4 | 0.2 |
| 2020 | -1.6 | -1.1 | -4.4 | -2.8 | 2.4 | 0.1 | -2.3 | -0.2 | 0.2 | -0.3 | 2.6 | -0.9 | -8.1 |
| 2021 | 1.2 | 1.8 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-06-25 49.4 SPY 150. -4.80e-3 -0.02 -0.0081 0.0463 0.204 0.306 0.509 GLD 64.4 -0.0054 -0.008
2 2007-06-26 49.5 SPY 148. -1.03e-2 -0.0325 -0.0224 0.038 0.192 0.296 0.486 GLD 63.6 -0.0126 -0.0284
3 2007-06-27 49.8 SPY 150. 1.42e-2 -0.0049 -0.0121 0.0605 0.203 0.321 0.542 GLD 63.7 0.0008 -0.0161
4 2007-06-28 50.0 SPY 150. -1.00e-4 -0.0105 -0.0202 0.0592 0.214 0.326 0.539 GLD 64.3 0.00930 -0.0046
5 2007-06-29 50.2 SPY 150. 3.00e-4 -0.0008 -0.0188 0.0594 0.206 0.320 0.513 GLD 64.3 0.0002 -0.0079
6 2007-07-02 50.8 SPY 152. 9.00e-3 0.0131 -0.0149 0.0677 0.193 0.325 0.534 GLD 65.0 0.0117 0.0092
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
